ConceptQuantile
Quantile
A statistic that divides a probability distribution according to cumulative probability; for example, the 0.95 quantile is the point that the value does not exceed with probability 95%. VaR is defined on the basis of quantiles, but as an optimization objective the quantile is non-convex and non-additive.
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Oct 19
The mean is insensitive to the tail: a small number of very slow turns are diluted by a large number of normal turns, masking the real experience; percentiles directly characterize what the worst-off users experienced.
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